Hi I have generate equity of my strategies which invest in commodities and currencies at daily interval. What the best method to combine together all strategies in one portfolio? I want to make the highest Sharpe Ratio ass possible.
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Well, thats not an easy task. Because you can't predict the movement of the market.
But if you want to do it based in historical data, you only have to apply the Modern Portfolio Theory by applying a Markowitz Model, which maximices the Sharpe Ratio. I have done it with Excel, is not hard but you need to know the steps, there are many tutorials, just google it.
Hope this works.